Maxima and minima of complete and incomplete stationary sequences

DOI10.1080/17442508.2013.876423zbMATH Open1337.60105arXiv1309.6138OpenAlexW3105193347MaRDI QIDQ2811101FDOQ2811101

Zhi Chao Weng, Enkelejd Hashorva

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Abstract: In the seminal contribution [4] the joint weak convergence of maxima and minima of weakly dependent stationary sequences is derived under some mild asymptotic conditions. In this paper we address additionally the case of incomplete samples assuming that the average proportion of incompleteness converges in probability to some random variable. We show the joint weak convergence of the maxima and minima of both complete and incomplete samples. It turns out that for special cases, maxima and minima are asymptotically independent.

Full work available at URL: https://arxiv.org/abs/1309.6138

zbMATH Keywords

maximaminimastationary sequencesincomplete samplejoint limit distributionGaussian ARMA processesBerman condition

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

Cites Work

• On maxima of partial samples in Gaussian sequences with pseudo-stationary trends
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• On Piterbarg theorem for maxima of stationary Gaussian sequences
• Limit Theorems for the Maximum Term in Stationary Sequences
• Asymptotic distributions of maxima of complete and incomplete samples from strongly dependent stationary Gaussian sequences
• On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
• The asymptotic behaviour of maxima of complete and incomplete samples from stationary sequences
• Some asymptotic results on extremes of incomplete samples
• Extreme values in FGM random sequences
• Maxima and minima of stationary sequences
• Sequential estimation of the mean in a random coefficient autoregressive model with beta marginals

Cited In (6)

• A new maximal inequality and invariance principle for stationary sequences
• On the maxima and minima of complete and incomplete samples from nonstationary random fields
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• The joint distribution of the maximum and minimum of an AR(1) process
• Title not available (Why is that?)
• Joint distributional expansions of maxima and minima from skew-normal samples

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